Derivatives
On any given day, the derivatives market is a busy place. You won’t catch us trying to cover it all. Instead, we’re looking for themes, trends and structural changes that affect the market’s buy-side participants.
Right now, our favourite topics include: Libor reform, structured investments and risk transfer, the search for yield, and new ways of accessing liquidity.
Libor webinar playback: traders hope for liquidity catalysts
Panellists from JP Morgan, Morgan Stanley and Tradeweb discuss "make or break" year for transition
Lagging futures market holding back swaptions RFR transition
“Elephant in the room” is hindering non-linear growth and swap market liquidity, say rates traders
Recent defaults lead to record credit derivatives payouts
CDS auctions have yielded historically low recovery rates this year, meaning swap sellers have had to pay more than normal
WisdomTree shuts oil ETPs after Shell terminates swap deal
Counterparty departure forces closure of eight oil trackers with $580 million of assets
CFTC advisory body backs six-month initial margin ‘grace period’
Majority vote to recommend extra six-month extension for phases five and six of initial margin rules
Simm may come with a side benefit – a common data standard
Buy-side firms using Acadiasoft for Simm calculations must adopt the ORE XML data format
Libor webinars: loans, bonds and derivatives
Listen here to three Risk.net webinars, covering topics from transition timelines to market turmoil
FX swap users hope to avoid month-end crunch
Blowout in spreads prompted SSGA and other managers to limit need for hedges today
Hedge funds see big gains on dividend curve trades
A popular relative value strategy delivered unexpected profits when companies axed payouts
Hedge fund Parplus said to be source of ABN’s $200m loss
New York-based volatility fund had close ties to defaulted prop shop Ronin Capital
Swaps liquidity slumps as Treasury stress spreads
Big buy-side participants report “worst day” for market depth in 10 years, as spreads widen and prices gap
Dispersion trades suffer in coronavirus selloff
Losses put at roughly $150m – even before markets tanked on March 9
Fund securitisation makes capital vanish – and watchdog growl
Probe into possible “abuses” of CFO structure could hit wider investments, experts say
SOFR discounting – Analysing the market impact
The switch to secured overnight financing rate (SOFR) discounting brings several complex issues and is impacting market practices. Ping Sun, senior vice‑president of financial engineering at Numerix, discusses the key issues, such as the differences…
Margin exchange threshold relief: get out of jail free?
‘Game-changing’ IM exchange threshold relief may not be the phase five free pass it first appears
Regulators urge buy-side action on Libor shift
ARRC set to release ‘checklist’ for buy-side firms, while FCA assesses exposures
LCH targets hardwired pre-cessation triggers
Proposal aims to align transfer pricing for cleared and bilateral markets in the event of split on ‘zombie Libor’ triggers
Bank disruptors: Crédit Ag taps AI to lure swaptions business
Machine learning model predicts client demand with high accuracy, giving traders an edge in pricing
Aberdeen head of structured solutions departs
De Roeck considering Libor discontinuation consultancy launch
CFTC urged to cement relief from a non-cleared margin rule
Industry seeks permanent right to specify two minimum transfer amounts: for initial and variation margin
Signing the Libor fallback protocol: a cautionary tale
As Orwell’s Room 101 beckons for Libor publication, muRisQ Advisory’s Marc Henrard warns of a potential pitfall in the fallback protocol
Asian investors primed to buy more CLOs, experts say
Liquidity and diversification are drivers for demand, after US loan market’s recovery from blip
Judgement day looms for dealers in swap shift to Sonia
Regulator pushes Q1 deadline for users to adopt risk-free rate as norm for interdealer trades
SEC derivatives rule may lead to new products
Proposed VAR limit is expected to benefit risk parity and defined outcome strategies